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<table width="100%" summary="page for CRSPday"><tr><td>CRSPday</td><td style="text-align: right;">R Documentation</td></tr></table>

<h2>Daily Returns from the CRSP Database </h2>

<h3>Description</h3>

<p>daily observations from 1969-1-03 to 1998-12-31
</p>
<p><em>number of observations</em> :  2528
</p>
<p><em>observation</em> :  production units
</p>
<p><em>country</em> :  United States
</p>


<h3>Usage</h3>

<pre>data(CRSPday)</pre>


<h3>Format</h3>

<p>A dataframe containing :
</p>

<dl>
<dt>year</dt><dd><p>the year</p>
</dd>
<dt>month</dt><dd><p>the month</p>
</dd>
<dt>day</dt><dd><p>the day</p>
</dd>
<dt>ge</dt><dd><p>the return for General Electric, Permno 12060</p>
</dd>
<dt>ibm</dt><dd><p> the return for IBM, Permno 12490</p>
</dd>
<dt>mobil</dt><dd><p>the return for Mobil Corporation, Permno 15966</p>
</dd>
<dt>crsp</dt><dd><p> the return for the CRSP value-weighted index, including  dividends</p>
</dd>
</dl>



<h3>Source</h3>

<p>Center for Research in Security Prices, Graduate School of  Business, University of Chicago,  725 South Wells - Suite 800,  Chicago, Illinois  60607,  <a href="http://www.crsp.com">http://www.crsp.com</a>.
</p>


<h3>References</h3>

<p>Davidson, R.  and  James G.  MacKinnon (2004) <em>Econometric Theory and Methods</em>, New York, Oxford University Press, <a href="http://www.econ.queensu.ca/ETM/">http://www.econ.queensu.ca/ETM/</a>, chapter 7, 9 and 15.
</p>


<h3>See Also</h3>

<p><code>Index.Source</code>, <code>Index.Economics</code>, <code>Index.Econometrics</code>, <code>Index.Observations</code>,
</p>
<p><code>Index.Time.Series</code></p>


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